Tuesday 20 March 2007

Algorithmic-Trading for Dummies

Will all the algorithmic-trading gurus; the so called boy wonders of Wall Street please get their act together?!

The problem is interface consistency. Sure, there is the FIX Protocol 'standard' that most algorithmic engines use. However, even FIX is stretched to its limit when dealing with algos.

So here's my suggestion to all of you who write algo engine interfaces... attend the FIX Protocol's Algorithmic Trading Working Group and figure this all out!

The diversity in describing an algo (FIX fields, values, etc) are costing all of us time and money. Time to read and understand these so called specifications and money to constantly keep changing our Order Management Systems (OMS) to keep up with your so called great ideas (like calling an order a 'day' order when it really is a 'good until cancel').

Is it really that hard to specify the fundamentals of trading:
  1. price
  2. time
  3. volume
  4. aggressiveness
  5. strategy

Furthermore, quite honestly, algos are money loosing ventures except for folks like me... We have to keep changing software to interface your silly algo engines so we keep getting a paycheck! However, CFOs are none to happy when passed in the hall and thanked by the likes of me for paying me in ever increasing amounts to invest in money losing ventures like algorithmic trading.

I now return you to your regularly scheduled production outage...

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